kjh2064/KArtSell.Aegis
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Initial commit: Add project files
ci / backend (push) Failing after 12s
Details
ci / frontend (push) Failing after 19s
Details
ci / static (push) Failing after 45s
Details

Browse Source
This commit is contained in:
김재현
2026-08-02 05:15:36 +09:00
commit dcd1322d41
636 changed files with 122352 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
research/original/results_us/portfolio_metrics.csv
+13
View File
@@ -0,0 +1,13 @@
portfolio,strategy,start,end,observations,cagr,mdd,calmar,annual_vol,sharpe_zero_rf,sortino_zero_rf,ulcer_index,recovery_days_max,turnover_annual,avg_exposure,cvar_5_daily,final_equity
core_six_dynamic_equal_weight,buy_hold,2007-01-03,2026-03-20,4834,0.24308704933345293,-0.773128358978349,0.31442003971330257,0.3015414488015295,0.8738334831198687,1.1445261144672476,20.190916126786806,1113,0.0,1.0,-0.04439147387420406,65.35179860793097
core_six_dynamic_equal_weight,trend_10m_shifted,2007-01-03,2026-03-20,4834,0.16357472264053885,-0.34067960244491646,0.4801424020300329,0.19064749818040705,0.8913494532150117,1.1049906557456832,12.52825619377904,1006,1.6329354332953245,0.6660736450144807,-0.029155088237047114,18.35805097999759
core_six_dynamic_equal_weight,trailing_12,2007-01-03,2026-03-20,4834,0.18551340593385346,-0.3401701760332102,0.5453547048044038,0.1644247585824664,1.1190161938621779,1.4738094160550808,9.606362318308255,544,4.468447120866591,0.7040752999586264,-0.024690993939220283,26.281594852133274
core_six_dynamic_equal_weight,kartsell_v11_original,2007-01-03,2026-03-20,4834,0.19444607637988587,-0.4376169049457289,0.44432944473203134,0.19032091826878392,1.0305436858332904,1.4062568301434244,12.003440717817698,546,11.57943842645382,0.7552554820024825,-0.027775558387793733,30.358044313090343
core_six_dynamic_equal_weight,kartsell_v12_candidate,2007-01-03,2026-03-20,4834,0.18232377853278559,-0.3729701052232771,0.48884287501712276,0.15889018181372055,1.1353594272561964,1.5647690446269358,10.078756289314878,601,1.5076453819840363,0.6618242311405323,-0.02335742247306538,24.95609297095869
core_six_dynamic_equal_weight,kartsell_v12_plus_capital_floor,2007-01-03,2026-03-20,4834,0.1598205106814412,-0.27442576057839874,0.582381589631354,0.1434253301880626,1.1072401404080283,1.4901689276822707,9.879399993130296,789,3.390939664694983,0.6159158391945938,-0.02155137321915794,17.253102473358652
all_seven_including_delisted_stress,buy_hold,2007-01-03,2026-03-20,4834,0.2775093396983792,-0.773128358978349,0.3589434231401033,0.3044073519527206,0.9583475125889233,1.2636149200360374,20.177358502372375,1081,0.0,1.0,-0.04448278715375355,110.43895266242205
all_seven_including_delisted_stress,trend_10m_shifted,2007-01-03,2026-03-20,4834,0.19161563949576554,-0.34067960244491646,0.5624511656131433,0.19468065551001978,0.9993615207731996,1.2545772641558275,12.383083611872175,1006,1.6329354332953245,0.6637045136631401,-0.029357445055813027,29.005608007963342
all_seven_including_delisted_stress,trailing_12,2007-01-03,2026-03-20,4834,0.19984372474650147,-0.3401701760332102,0.587481616045585,0.16623748983056533,1.1810289348280676,1.560892630054076,9.598058001712,544,4.565129194494217,0.6988395689264535,-0.024800737638361478,33.10450990565518
all_seven_including_delisted_stress,kartsell_v11_original,2007-01-03,2026-03-20,4834,0.22593790805742442,-0.4376169049457289,0.5162915451939503,0.19432270077509758,1.1474078884952614,1.584094021302573,11.976986181316061,546,11.487156626690014,0.7539293102429222,-0.028004218270131886,50.046048328654734
all_seven_including_delisted_stress,kartsell_v12_candidate,2007-01-03,2026-03-20,4834,0.19197816330124318,-0.3729701052232771,0.5147280187143047,0.15934431597089588,1.1837105714574105,1.6344183514714512,10.037158701396045,601,1.5178713705408047,0.6564404909667633,-0.023359033803261185,29.175582993689744
all_seven_including_delisted_stress,kartsell_v12_plus_capital_floor,2007-01-03,2026-03-20,4834,0.17015330451446609,-0.27442576057839874,0.6200340090370495,0.14411961856651512,1.1642558469245667,1.5717368300194083,9.709112426641425,789,3.2921535164521907,0.6124922104340288,-0.02158144412811821,20.457800569557346
1 portfolio strategy start end observations cagr mdd calmar annual_vol sharpe_zero_rf sortino_zero_rf ulcer_index recovery_days_max turnover_annual avg_exposure cvar_5_daily final_equity
2 core_six_dynamic_equal_weight buy_hold 2007-01-03 2026-03-20 4834 0.24308704933345293 -0.773128358978349 0.31442003971330257 0.3015414488015295 0.8738334831198687 1.1445261144672476 20.190916126786806 1113 0.0 1.0 -0.04439147387420406 65.35179860793097
3 core_six_dynamic_equal_weight trend_10m_shifted 2007-01-03 2026-03-20 4834 0.16357472264053885 -0.34067960244491646 0.4801424020300329 0.19064749818040705 0.8913494532150117 1.1049906557456832 12.52825619377904 1006 1.6329354332953245 0.6660736450144807 -0.029155088237047114 18.35805097999759
4 core_six_dynamic_equal_weight trailing_12 2007-01-03 2026-03-20 4834 0.18551340593385346 -0.3401701760332102 0.5453547048044038 0.1644247585824664 1.1190161938621779 1.4738094160550808 9.606362318308255 544 4.468447120866591 0.7040752999586264 -0.024690993939220283 26.281594852133274
5 core_six_dynamic_equal_weight kartsell_v11_original 2007-01-03 2026-03-20 4834 0.19444607637988587 -0.4376169049457289 0.44432944473203134 0.19032091826878392 1.0305436858332904 1.4062568301434244 12.003440717817698 546 11.57943842645382 0.7552554820024825 -0.027775558387793733 30.358044313090343
6 core_six_dynamic_equal_weight kartsell_v12_candidate 2007-01-03 2026-03-20 4834 0.18232377853278559 -0.3729701052232771 0.48884287501712276 0.15889018181372055 1.1353594272561964 1.5647690446269358 10.078756289314878 601 1.5076453819840363 0.6618242311405323 -0.02335742247306538 24.95609297095869
7 core_six_dynamic_equal_weight kartsell_v12_plus_capital_floor 2007-01-03 2026-03-20 4834 0.1598205106814412 -0.27442576057839874 0.582381589631354 0.1434253301880626 1.1072401404080283 1.4901689276822707 9.879399993130296 789 3.390939664694983 0.6159158391945938 -0.02155137321915794 17.253102473358652
8 all_seven_including_delisted_stress buy_hold 2007-01-03 2026-03-20 4834 0.2775093396983792 -0.773128358978349 0.3589434231401033 0.3044073519527206 0.9583475125889233 1.2636149200360374 20.177358502372375 1081 0.0 1.0 -0.04448278715375355 110.43895266242205
9 all_seven_including_delisted_stress trend_10m_shifted 2007-01-03 2026-03-20 4834 0.19161563949576554 -0.34067960244491646 0.5624511656131433 0.19468065551001978 0.9993615207731996 1.2545772641558275 12.383083611872175 1006 1.6329354332953245 0.6637045136631401 -0.029357445055813027 29.005608007963342
10 all_seven_including_delisted_stress trailing_12 2007-01-03 2026-03-20 4834 0.19984372474650147 -0.3401701760332102 0.587481616045585 0.16623748983056533 1.1810289348280676 1.560892630054076 9.598058001712 544 4.565129194494217 0.6988395689264535 -0.024800737638361478 33.10450990565518
11 all_seven_including_delisted_stress kartsell_v11_original 2007-01-03 2026-03-20 4834 0.22593790805742442 -0.4376169049457289 0.5162915451939503 0.19432270077509758 1.1474078884952614 1.584094021302573 11.976986181316061 546 11.487156626690014 0.7539293102429222 -0.028004218270131886 50.046048328654734
12 all_seven_including_delisted_stress kartsell_v12_candidate 2007-01-03 2026-03-20 4834 0.19197816330124318 -0.3729701052232771 0.5147280187143047 0.15934431597089588 1.1837105714574105 1.6344183514714512 10.037158701396045 601 1.5178713705408047 0.6564404909667633 -0.023359033803261185 29.175582993689744
13 all_seven_including_delisted_stress kartsell_v12_plus_capital_floor 2007-01-03 2026-03-20 4834 0.17015330451446609 -0.27442576057839874 0.6200340090370495 0.14411961856651512 1.1642558469245667 1.5717368300194083 9.709112426641425 789 3.2921535164521907 0.6124922104340288 -0.02158144412811821 20.457800569557346